I see you can also hold ALT to run the insert without the GUI. That would come in handy when the order of documents isn't important.
That order is predictable, and is determined by the right clicked file. The Shell constructs the list starting at that file, next adds all the selected files bellow it, and then the ones above it, starting from the top.
Sadly, Windows 7 items view control (that replace the list view of early Windows), used to show the files in Windows Explorer, does not support custom positioning, and custom ordering, anymore, so this predictable order is not sufficient in all the situations.